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You purchase the security described in the following table into the entity TaxDemo2 with a Trade Date and Settle Date of 20140401; Par is 1,000,000 and interest has been accrued for 4 days.

Field Name

Value

Issue Name

FI Issue Tax Type Change

Description

FI Issue Tax Type Demo

Ticker

FIITTD

Primary Asset ID

555555555

Processing Security Type

DBIBFD

Issue Date

20091015

Dated Date

20091015

First Coupon Date

20100415

Last Coupon Date

20180415

Maturity Date

20181015

Coupon Type Code

Fixed

Coupon Rate

6.00

Day Count Basis

30/360

Issue Country

United Kingdom

Payment Frequency

Monthly

Issue Tax Type

Standard

Primary Exchange

London

You change the Coupon Rate from 5% to 6%, Effective Date on 20140406, then accrue to 20140406.

...

- 23,055.56 (Interest Purchased)

- 694.44 (Current Accrual to Date)
to generate an accrual delta of 4,916.67

The following table shows the April 1 and April 5 settlement date values with the initial coupon rate of 5%, along with the April 6 settlement date values with the 6% rate. 

Start of Coupon

Oct 15 2013

Oct 15 2013

Oct 15 2013

Settlement Date

Apr 01 2014

Apr 05 2014

Apr 06 2014

Days Until Settlement Date

166

171

172

Traded Interest:

PTD Accruals:

PTD Accruals:

Par`

1,000,000.00

1,000,000.00

1,000,000.00

Coupon Rate

5.00 %

5.00 %

6.00 %

Daily Accrual

360

360

166.6666667

Days in Period

166

171

172

Traded Interest

23,055.56

PTD Interest Amount

23,750.00

28,666,67

PTD Accrual

694.44


True Up of Accrual

4,916.67